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Technical Nonparametric Statistics for Stochastic Processes: Estimation and Prediction
Posted on 2010-04-14
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More D. Bosq, "Nonparametric Statistics for Stochastic Processes: Estimation and Prediction" This book is devoted to the theory and applications of nonparametic functional estimation and prediction. Chapter 1 provides an overview of inequalities and limit theorems for strong mixing processes. Density and regression estimation in discrete time are studied in Chapter 2 and 3. The special rates of convergence which appear in continuous time are presented in Chapters 4 and 5. This second edition is extensively revised and it contains two new chapters. Chapter 6 discusses the surprising local time density estimator. Chapter 7 gives a detailed account of implementation of nonparametric method and practical examples in economics, finance and physics. Comarison with ARMA and ARCH methods shows the efficiency of nonparametric forecasting. The prerequisite is a knowledge of classical probability theory and statistics. Not all books ... appear on the homepage. In order not to miss many of them follow ebooks section (see top of each page on AH)
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